Abstract
We consider the problem of strong approximations of the solution of Itô stochastic functional differential equations involving a distributed delay term. The mean-square consistency of a class of schemes, the -Maruyama methods, is analysed, using an appropriate Itô-formula. In particular, we investigate the consequences of the choice of a quadrature formula. Numerical examples illustrate the theoretical results.
| Original language | English |
|---|---|
| Pages (from-to) | 235-244 |
| Number of pages | 10 |
| Journal | Monte Carlo Methods and Applications |
| Volume | 10 |
| Issue number | 3-4 |
| DOIs | |
| Publication status | Published - 2004 |
Fields of science
- 101002 Analysis
- 101029 Mathematical statistics
- 101014 Numerical mathematics
- 101024 Probability theory
- 101015 Operations research
- 101026 Time series analysis
- 101019 Stochastics
- 107 Other Natural Sciences
- 211 Other Technical Sciences
JKU Focus areas
- Computation in Informatics and Mathematics
- Engineering and Natural Sciences (in general)